Do you mean no sound when you play an app? Or no sound whatsoever, such as menus, etc?
It's possible the HDMI cable is allowing video but the audio lines are bad. More likely, based on your troubleshooting, it's the device. If you bought it locally (Walmart, Target, Best Buy, etc.) I'd consider exchanging it. And, I'd look at exchanging it for an Express 4K+, which is only a few dollars more than the Express, but a much superior device.
If you need to do an exchange through Roku, start here: https://support.roku.com/article/208757058
Roku Community Streaming Expert
Note: I am not a Roku employee.
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